Anticipating Linear Stochastic Differential Equations Driven by a Lévy Process

Jorge A. León; David Márquez-Carreras; Josep Vives

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arXiv · 1207.1692

Anticipating Linear Stochastic Differential Equations Driven by a Lévy Process

Jorge A. León·David Márquez-Carreras·Josep Vives

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Abstract

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformation on Wiener space and developped by Buckdahn to the canonical Lévy space.

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BibTeX RIS

Jorge A. León, David Márquez-Carreras, Josep Vives. 2012-07-06. Anticipating Linear Stochastic Differential Equations Driven by a Lévy Process. https://arxiv.org/abs/1207.1692

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